Torben Andersen

  • 11051 Citations
1994 …2020

Research output per year

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Research Output

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Review article
2015

Exploring Return Dynamics via Corridor Implied Volatility

Andersen, T. G., Bondarenko, O. & Gonzalez-Perez, M. T., Oct 2015, In : Review of Financial Studies. 28, 10, p. 2902-2945 44 p.

Research output: Contribution to journalReview article

31 Scopus citations
2005

Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

Andersen, T. G., Bollerslev, T. & Meddahi, N., Jan 2005, In : Econometrica. 73, 1, p. 279-296 18 p.

Research output: Contribution to journalReview article

141 Scopus citations
2004

Analytical evaluation of volatility forecasts

Andersen, T. G., Bollerslev, T. & Meddahi, N., Nov 1 2004, In : International Economic Review. 45, 4, p. 1079-1110 32 p.

Research output: Contribution to journalReview article

92 Scopus citations
2003

Micro effects of macro announcements: Real-time price discovery in foreign exchange

Andersen, T. G., Bollerslev, T., Diebold, F. X. & Vega, C., Mar 2003, In : American Economic Review. 93, 1, p. 38-62 25 p.

Research output: Contribution to journalReview article

531 Scopus citations